Let's start with the why:
To give direction to life
To make sure we are the one choosing the direction of our life -- not others, not fate, not the media, etc.
To make sure we get what we want from life
To save time
To reduce stress
To give a sense of accomplishment
While it can be fun to live without direction in the short-term, in the long-term human beings are wired to need a purpose and direction. Goals give a sense of direction and purpose to life.
It is often easy to let others set our direction for us. We take a job because family or friends point us in that direction and then we follow the dictates of our bosses. We move in other directions because popular culture or the media tells us to do so. The simple truth is that if we do not set our own goals then we will find it too easy to follow a path set by others. This can lead to stress and unhappiness. We have a greater chance of happiness and fulfillment following our own path and pursuing our own goals.
While goals certainly give our lives direction, they also provide the motivation to get us through difficult times and choices. Perhaps going to college at night while working full-time may be stressful and difficult in the short-term, but in the long run being able to pursue the professional goals we desire will make it worthwhile.
Goals also serve as the destination for what we really want out of life. For some people, goals are measured in money or material goods, while for others goals are measured in time or freedom. If we do not have goals outlined that suit our unique perspective on life it is easy to become sidetracked by life and others.
Goals can also help save time. When your "To Do" list becomes too long and your calendar too full, then you can simply compare your goals to the list. What items help you achieve your goal? What items are necessary to your goal? Scratch off the rest as unimportant.